The basic idea of these portfolio balancing strategies is that you set a target and periodically (no more than once a quarter) trade in order to get closer to these targets.
Portfolio Balancer's currently supported strategies are predicated on the assumption that the investor wants equal distribution of value across all assets in their portfolio. Investors can pick whatever collection of assets they want, but the general idea is that they span a broad array of sectors and market capitalizations using low cost ETFs, for example, one may want to target 10% allocation to each of these ten ETFs:
- FTEC
- VAW
- VCR
- VDC
- VHT
- VIS
- VNQ
- VOX
- VPU
- VSMAX
This makes trading very boring, but it minimizes variance without sacrificing expected value. It also gives you some flexibility to buy low and sell high. Check out my companion blog post for more motivation and explanation of this strategy and how it is executed in this library.
This code was written with the the IBKR margin trading account in mind. To make downloading the CSV easier, I created a Flex Query that creates a CSV in the format you see in the tests. I can't share the Flex Query settings, but you should be able to figure them out. If you can't, then you probably should not be using this code.
If you do not use IBKR, then creating the CSV is up-to-you, but it should not very difficult.
cd /wherever/you/keep/your/code
git clone [email protected]:cfreundlich/portfolio-balancer.git
cd portfolio-balancer
pip install .Now, you are all set to run the pbal command to suggest some trades you can make to push your portfolio allocations toward the target.
Suppose you have a portfolio with the following positions in the CSV format this software is expecting:
"Symbol","PositionValue","MarkPrice","FifoPnlUnrealized"
"FTEC","15000.00","128.62","3343.9673"
"VAW","10000.00","180.51","893.3955"
"VCR","6798.48","279.68","1700.9984"
"VDC","8000","192.75","-1192.065125"
"VHT","12000.43","242.65","18.5908"
"VIS","9000","203.87","-2382.175"
"VNQ","9500","83.1","-1745.915301"
"VOX","9500.14","105.39","-2075.3452"
"VPU","13000.99","140.63","4933.423"
"VSMAX","20100.44","94.73","802.809999"
Let's assume this file is in the location ~/Downloads/positions-custom.csv. Note that this is the default location the software will look for the CSV, but I will show the full command in the example below.
Suppose you just pawned a $4000 diamond watch you "found" in a parking lot, and you decide you want to take an additional $1000 in margin from your broker, and that you want to plow it all into your brokerage account. You also don't want to bother with trades less than $100, so you use the following command and output:
❯ pbal ~/Downloads/positions-custom.csv -i 2 -c 5000
Symbol InitialValue MarkPrice BuyVal BuyShares
-------- -------------- ----------- -------- -----------
FTEC 15000 128.62 0 0
VAW 10000 180.51 0 0
VCR 6798.48 279.68 2800 10
VDC 8000 192.75 1500 8
VHT 12000.4 242.65 0 0
VIS 9000 203.87 600 3
VNQ 9500 83.1 100 1
VOX 9500.14 105.39 0 0
VPU 13001 140.63 0 0
VSMAX 20100.4 94.73 0 0
The second-to-last column, BuyVal specifies the amount you want to allocate to the given asset.
The last column tells you what to do. In the example above, all you need to do now is buy 10 shares of VCR, 8 shared of VDC, 3 shares of VIS, and 1 share of VNQ.
To explore more features, use the --help flag.
This would be the last step to making this process extremely mindless and thus ideal for me. However, it is a work-in-progress.
Follow the IBKR Client Portal Quickstart Guide.
- I put my installation in
~/bin, so if you put your binaries somewhere else, modify accordingly. - For MacOS Venrura users, port 5000 is used by the system, so you will need to change that in order to run.
- Do not forget to generate your own cert (see the guide) Starting the server:
cd ~/bin/clientportal/
bin/run.sh root/conf.yamlI have personally not made their auth system work. See my notebook for details.